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<div class="title">CalibBase.py</div>  </div>
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<div class="fragment"><pre class="fragment"><a name="l00001"></a>00001 <span class="comment">#!/usr/bin/python</span>
<a name="l00002"></a>00002 <span class="comment"># -*- coding: utf-8 -*-</span>
<a name="l00003"></a>00003 
<a name="l00004"></a>00004 <span class="comment"># Copyright (c) 2011</span>
<a name="l00005"></a>00005 <span class="comment">#</span>
<a name="l00006"></a>00006 <span class="comment"># Permission is hereby granted, free of charge, to any person obtaining a</span>
<a name="l00007"></a>00007 <span class="comment"># copy of this software and associated documentation files (the &quot;Software&quot;),</span>
<a name="l00008"></a>00008 <span class="comment"># to deal in the Software without restriction, including without limitation</span>
<a name="l00009"></a>00009 <span class="comment"># the rights to use, copy, modify, merge, publish, distribute, sublicense,</span>
<a name="l00010"></a>00010 <span class="comment"># and/or sell copies of the Software, and to permit persons to whom the</span>
<a name="l00011"></a>00011 <span class="comment"># Software is furnished to do so, subject to the following conditions:</span>
<a name="l00012"></a>00012 <span class="comment">#</span>
<a name="l00013"></a>00013 <span class="comment"># The above copyright notice and this permission notice shall be included in</span>
<a name="l00014"></a>00014 <span class="comment"># all copies or substantial portions of the Software.</span>
<a name="l00015"></a>00015 <span class="comment">#</span>
<a name="l00016"></a>00016 <span class="comment"># THE SOFTWARE IS PROVIDED &quot;AS IS&quot;, WITHOUT WARRANTY OF ANY strikesND, EXPRESS</span>
<a name="l00017"></a>00017 <span class="comment"># OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,</span>
<a name="l00018"></a>00018 <span class="comment"># FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE</span>
<a name="l00019"></a>00019 <span class="comment"># AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER</span>
<a name="l00020"></a>00020 <span class="comment"># LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,</span>
<a name="l00021"></a>00021 <span class="comment"># OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE</span>
<a name="l00022"></a>00022 <span class="comment"># SOFTWARE.</span>
<a name="l00023"></a>00023 <span class="comment">#</span>
<a name="l00024"></a>00024 <span class="comment"># Author: Jesus Carrero &lt;j.o.carrero@gmail.com&gt;</span>
<a name="l00025"></a>00025 <span class="comment"># Mountain View, CA</span>
<a name="l00026"></a>00026 
<a name="l00027"></a>00027 <span class="stringliteral">&quot;&quot;&quot; common place holder for data needed for volatility calibration. &quot;&quot;&quot;</span>
<a name="l00028"></a>00028 
<a name="l00029"></a>00029 <span class="keyword">from</span> scipy <span class="keyword">import</span> ones, asarray
<a name="l00030"></a>00030 <span class="keyword">from</span> scipy.optimize <span class="keyword">import</span> fmin, fmin_bfgs, fmin_ncg
<a name="l00031"></a>00031 <span class="keyword">import</span> logging
<a name="l00032"></a>00032 
<a name="l00033"></a>00033 <span class="comment"># http://docs.scipy.org/doc/scipy/reference/tutorial/optimize.html</span>
<a name="l00034"></a>00034 
<a name="l00035"></a>00035 
<a name="l00036"></a><a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html">00036</a> <span class="keyword">class </span><a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html">CalibBase</a>(object):
<a name="l00037"></a>00037     <span class="stringliteral">&quot;&quot;&quot; virtual class to derive from. &quot;&quot;&quot;</span>
<a name="l00038"></a>00038 
<a name="l00039"></a>00039     __solts__ = [<span class="stringliteral">&#39;m_strikes&#39;</span>, <span class="stringliteral">&#39;m_prices&#39;</span>, <span class="stringliteral">&#39;m_int_rate&#39;</span>, <span class="stringliteral">&#39;m_t2maturity&#39;</span>,
<a name="l00040"></a>00040                  <span class="stringliteral">&#39;m_style&#39;</span>, <span class="stringliteral">&#39;m_contract&#39;</span>, <span class="stringliteral">&#39;m_xtol&#39;</span>, <span class="stringliteral">&#39;m_der&#39;</span>, <span class="stringliteral">&#39;m_impvol&#39;</span>,
<a name="l00041"></a>00041                  <span class="stringliteral">&#39;m_cali_method&#39;</span>, <span class="stringliteral">&#39;m_log_progress&#39;</span>]
<a name="l00042"></a>00042 
<a name="l00043"></a><a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a26b1cc8dda5ce4aa41a2cc18364f0456">00043</a>     <span class="keyword">def </span><a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a26b1cc8dda5ce4aa41a2cc18364f0456">__init__</a>(self):
<a name="l00044"></a>00044         <span class="stringliteral">&quot;&quot;&quot; instantiate object to type CalibBase.&quot;&quot;&quot;</span>
<a name="l00045"></a>00045 
<a name="l00046"></a>00046         <span class="keywordflow">if</span> self.__class__ <span class="keywordflow">is</span> CalibBase:
<a name="l00047"></a>00047             <span class="keywordflow">raise</span> NotImplementedError, <span class="stringliteral">&quot;can&#39;t instantiate abstract base class&quot;</span>
<a name="l00048"></a>00048 
<a name="l00049"></a>00049         (self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a00be164e35eac1fa82e8f0312b569cb7">m_strikes</a>, self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#ae857181b882adf8155ecc2bbaa93df9f">m_prices</a>, self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a474066248e79106c87c2a30d974c7dcc">m_t2maturity</a>) = (<span class="keywordtype">None</span>, <span class="keywordtype">None</span>, <span class="keywordtype">None</span>)
<a name="l00050"></a>00050         (self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#ad2649f73e2fc3cbcde114cf86a8ce123">m_der</a>, self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a9ee907299cd9de2b8d10ad027880aa7d">m_hess</a>, self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#aa87a7084780d44f16b5dff6acb50c04b">m_impvol</a>) = (<span class="keywordtype">None</span>, <span class="keywordtype">None</span>, <span class="keywordtype">None</span>)
<a name="l00051"></a>00051         (self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a0c8bf0fd6fee8d19c28cae9ede36e935">m_style</a>, self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#afee2d964c423b169935c8abb23218eae">m_int_rate</a>, self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#ae501476492d601f0ed1a60c005e73ac9">m_contract</a>) = (<span class="keywordtype">None</span>, <span class="keywordtype">None</span>, <span class="keywordtype">None</span>)
<a name="l00052"></a>00052 
<a name="l00053"></a>00053         self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a0e4f59b19f4d4ee9b0fc37ccfef970d7">m_xtol</a> = 1e-8
<a name="l00054"></a>00054         self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a2bae7c49bfae4c96e186f1ba0089892a">m_cali_method</a> = <span class="keywordtype">None</span>
<a name="l00055"></a>00055         self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#afcd8d9b0b3fccd4a80e7056eeb8a5e61">m_log_progress</a> = logging.getLogger(<span class="stringliteral">&#39;CalibBase&#39;</span>)
<a name="l00056"></a>00056 
<a name="l00057"></a><a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#abee35903e5200a02d90cf161bae1573d">00057</a>     <span class="keyword">def </span><a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#abee35903e5200a02d90cf161bae1573d">set_cal_data</a>(self, strikes, prices, interest_rate,
<a name="l00058"></a>00058             time2_mat, style, contract):
<a name="l00059"></a>00059         <span class="stringliteral">&quot;&quot;&quot; set data for calibration.</span>
<a name="l00060"></a>00060 <span class="stringliteral">            1.- strike prices.</span>
<a name="l00061"></a>00061 <span class="stringliteral">            2.- contract present value.</span>
<a name="l00062"></a>00062 <span class="stringliteral">            3.- interest rates.</span>
<a name="l00063"></a>00063 <span class="stringliteral">            4.- time to maturity.</span>
<a name="l00064"></a>00064 <span class="stringliteral">            5.- American, European, Bermudam.</span>
<a name="l00065"></a>00065 <span class="stringliteral">            6.- Put, Call</span>
<a name="l00066"></a>00066 <span class="stringliteral">        &quot;&quot;&quot;</span>
<a name="l00067"></a>00067 
<a name="l00068"></a>00068         self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a00be164e35eac1fa82e8f0312b569cb7">m_strikes</a> = asarray(strikes, <span class="stringliteral">&#39;float&#39;</span>)
<a name="l00069"></a>00069         self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#ae857181b882adf8155ecc2bbaa93df9f">m_prices</a> = asarray(prices, <span class="stringliteral">&#39;float&#39;</span>)
<a name="l00070"></a>00070         self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#afee2d964c423b169935c8abb23218eae">m_int_rate</a> = interest_rate * ones(self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a00be164e35eac1fa82e8f0312b569cb7">m_strikes</a>.shape)
<a name="l00071"></a>00071         self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a474066248e79106c87c2a30d974c7dcc">m_t2maturity</a> = asarray(time2_mat, <span class="stringliteral">&#39;float&#39;</span>)
<a name="l00072"></a>00072         self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a0c8bf0fd6fee8d19c28cae9ede36e935">m_style</a> = style
<a name="l00073"></a>00073         self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#ae501476492d601f0ed1a60c005e73ac9">m_contract</a> = contract
<a name="l00074"></a>00074         <span class="keywordflow">if</span> <span class="keywordflow">not</span> (self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a00be164e35eac1fa82e8f0312b569cb7">m_strikes</a>.shape == self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#ae857181b882adf8155ecc2bbaa93df9f">m_prices</a>.shape
<a name="l00075"></a>00075                 <span class="keywordflow">and</span> self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a00be164e35eac1fa82e8f0312b569cb7">m_strikes</a>.shape == self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a474066248e79106c87c2a30d974c7dcc">m_t2maturity</a>.shape):
<a name="l00076"></a>00076             self.m_log_progress.error(<span class="stringliteral">&#39;missmatch in array size &#39;</span>
<a name="l00077"></a>00077                     + str(strikes.size) + <span class="stringliteral">&#39; &#39;</span> + str(prices.size) + <span class="stringliteral">&#39; &#39;</span>
<a name="l00078"></a>00078                     + str(time2_mat.size))
<a name="l00079"></a>00079             <span class="keyword">assert</span> <span class="keyword">False</span>
<a name="l00080"></a>00080 
<a name="l00081"></a><a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#acff9c54af5c76f2db6349e494da72665">00081</a>     <span class="keyword">def </span><a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#acff9c54af5c76f2db6349e494da72665">get_cal_data</a>(self):
<a name="l00082"></a>00082         <span class="stringliteral">&quot;&quot;&quot;</span>
<a name="l00083"></a>00083 <span class="stringliteral">            Strike, Price, Time, Style, Contract</span>
<a name="l00084"></a>00084 <span class="stringliteral">        &quot;&quot;&quot;</span>
<a name="l00085"></a>00085         <span class="keywordflow">return</span> zip(self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a00be164e35eac1fa82e8f0312b569cb7">m_strikes</a>, self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#ae857181b882adf8155ecc2bbaa93df9f">m_prices</a>, self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#afee2d964c423b169935c8abb23218eae">m_int_rate</a>,
<a name="l00086"></a>00086                 self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a474066248e79106c87c2a30d974c7dcc">m_t2maturity</a>, self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a0c8bf0fd6fee8d19c28cae9ede36e935">m_style</a>, self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#ae501476492d601f0ed1a60c005e73ac9">m_contract</a>)
<a name="l00087"></a>00087 
<a name="l00088"></a><a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#ab9df3a3bfcfba87c5d96e54b9f94835a">00088</a>     <span class="keyword">def </span><a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#ab9df3a3bfcfba87c5d96e54b9f94835a">get_times2_maturity</a>(self):
<a name="l00089"></a>00089         <span class="stringliteral">&quot;&quot;&quot; get time to maturity. &quot;&quot;&quot;</span>
<a name="l00090"></a>00090 
<a name="l00091"></a>00091         <span class="keywordflow">return</span> self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a474066248e79106c87c2a30d974c7dcc">m_t2maturity</a>
<a name="l00092"></a>00092 
<a name="l00093"></a><a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#ac435434054075cfced0f2f0ff74b9d5e">00093</a>     <span class="keyword">def </span><a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#ac435434054075cfced0f2f0ff74b9d5e">set_initial_guess</a>(self, initial_guess):
<a name="l00094"></a>00094         <span class="stringliteral">&quot;&quot;&quot; set initial guess. &quot;&quot;&quot;</span>
<a name="l00095"></a>00095 
<a name="l00096"></a>00096         self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#aa87a7084780d44f16b5dff6acb50c04b">m_impvol</a> = initial_guess
<a name="l00097"></a>00097 
<a name="l00098"></a>00098     <span class="keyword">def </span>_set_gradient(self, der):
<a name="l00099"></a>00099         <span class="stringliteral">&quot;&quot;&quot; set cost function analytical gradient.&quot;&quot;&quot;</span>
<a name="l00100"></a>00100 
<a name="l00101"></a>00101         self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#ad2649f73e2fc3cbcde114cf86a8ce123">m_der</a> = der
<a name="l00102"></a>00102 
<a name="l00103"></a>00103     <span class="keyword">def </span>_set_hessian(self, hess):
<a name="l00104"></a>00104         <span class="stringliteral">&quot;&quot;&quot; set cost function hessian.&quot;&quot;&quot;</span>
<a name="l00105"></a>00105 
<a name="l00106"></a>00106         self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a9ee907299cd9de2b8d10ad027880aa7d">m_hess</a> = hess
<a name="l00107"></a>00107 
<a name="l00108"></a><a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a15578658af11bec4ed2f0efab4d69691">00108</a>     <span class="keyword">def </span><a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a15578658af11bec4ed2f0efab4d69691">set_cal_method</a>(self, cal_method):
<a name="l00109"></a>00109         <span class="stringliteral">&quot;&quot;&quot; set calibration method. &quot;&quot;&quot;</span>
<a name="l00110"></a>00110 
<a name="l00111"></a>00111         <span class="keywordflow">if</span> cal_method <span class="keywordflow">not</span> <span class="keywordflow">in</span> [<span class="stringliteral">&#39;fmin&#39;</span>, <span class="stringliteral">&#39;fmin_bfgs&#39;</span>, <span class="stringliteral">&#39;fmin_ncg&#39;</span>]:
<a name="l00112"></a>00112             <span class="keywordflow">raise</span> Warning(<span class="stringliteral">&#39;optmization scheme not sopported&#39;</span>)
<a name="l00113"></a>00113         self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a2bae7c49bfae4c96e186f1ba0089892a">m_cali_method</a> = cal_method
<a name="l00114"></a>00114 
<a name="l00115"></a>00115     @classmethod
<a name="l00116"></a>00116     <span class="keyword">def </span>_cost_function(cls, value):
<a name="l00117"></a>00117         <span class="stringliteral">&quot;&quot;&quot; virtual method to values cost function.</span>
<a name="l00118"></a>00118 <span class="stringliteral">            could be defined outside this class because dose not make</span>
<a name="l00119"></a>00119 <span class="stringliteral">            use of any member, but I prefer to keep it here.</span>
<a name="l00120"></a>00120 <span class="stringliteral">        &quot;&quot;&quot;</span>
<a name="l00121"></a>00121 
<a name="l00122"></a>00122         <span class="keywordflow">raise</span> NotImplementedError
<a name="l00123"></a>00123 
<a name="l00124"></a>00124     <span class="keyword">def </span>_calibrate(self):
<a name="l00125"></a>00125         <span class="stringliteral">&quot;&quot;&quot; calibrate model. &quot;&quot;&quot;</span>
<a name="l00126"></a>00126 
<a name="l00127"></a>00127         <span class="keyword">assert</span> self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a2bae7c49bfae4c96e186f1ba0089892a">m_cali_method</a> <span class="keywordflow">is</span> <span class="keywordflow">not</span> <span class="keywordtype">None</span>
<a name="l00128"></a>00128 
<a name="l00129"></a>00129         xopt = <span class="keywordtype">None</span>
<a name="l00130"></a>00130         <span class="keywordflow">if</span> <span class="stringliteral">&#39;fmin&#39;</span> == self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a2bae7c49bfae4c96e186f1ba0089892a">m_cali_method</a>:
<a name="l00131"></a>00131             xopt = fmin(self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a612979b3e101fa1b303e0e77389ab445">_cost_function</a>, self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#aa87a7084780d44f16b5dff6acb50c04b">m_impvol</a>,
<a name="l00132"></a>00132                         xtol=self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a0e4f59b19f4d4ee9b0fc37ccfef970d7">m_xtol</a>)
<a name="l00133"></a>00133         <span class="keywordflow">elif</span> <span class="stringliteral">&#39;fmin_bfgs&#39;</span> == self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a2bae7c49bfae4c96e186f1ba0089892a">m_cali_method</a>:
<a name="l00134"></a>00134             xopt = fmin_bfgs(self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a612979b3e101fa1b303e0e77389ab445">_cost_function</a>, self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#aa87a7084780d44f16b5dff6acb50c04b">m_impvol</a>,
<a name="l00135"></a>00135                              fprime=self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#ad2649f73e2fc3cbcde114cf86a8ce123">m_der</a>)
<a name="l00136"></a>00136         <span class="keywordflow">elif</span> <span class="stringliteral">&#39;fmin_ncg&#39;</span> == self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a2bae7c49bfae4c96e186f1ba0089892a">m_cali_method</a>:
<a name="l00137"></a>00137             xopt = fmin_ncg(self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a612979b3e101fa1b303e0e77389ab445">_cost_function</a>, self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#aa87a7084780d44f16b5dff6acb50c04b">m_impvol</a>,
<a name="l00138"></a>00138                             fprime=self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#ad2649f73e2fc3cbcde114cf86a8ce123">m_der</a>, fhess=self.<a class="code" href="classmodels_1_1CalibBase_1_1CalibBase.html#a9ee907299cd9de2b8d10ad027880aa7d">m_hess</a>)
<a name="l00139"></a>00139 
<a name="l00140"></a>00140         <span class="keywordflow">return</span> xopt
<a name="l00141"></a>00141 
<a name="l00142"></a>00142 
</pre></div></div>
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